Report NEP-MST-2024-11-18

This is the archive for NEP-MST, a report on new working papers in the area of Market Microstructure. Thanos Verousis issued this report. It is usually issued weekly.

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Other reports in NEP-MST

The following items were announced in this report:

• Luca Lalor & Anatoliy Swishchuk, 2024. "Reinforcement Learning in Non-Markov Market-Making," Papers 2410.14504, arXiv.org, revised Nov 2024.
• Murat Tinic & Zeynep Ö. nder, 2024. "Bank-affiliation and Information Leakage around Earnings Announcement: Evidence from Turkish REITs," ERES eres2024-210, European Real Estate Society (ERES).
• Carl von Havighorst & Vincil Bishop III, 2024. "Inferring Option Movements Through Residual Transactions: A Quantitative Model," Papers 2410.16563, arXiv.org.
• Brokmann, Xavier & Itkin, David & Muhle-Karbe, Johannes & Schmidt, Peter, 2024. "Tackling nonlinear price impact with linear strategies," LSE Research Online Documents on Economics 125888, London School of Economics and Political Science, LSE Library.